V-Lab
US Dollar to Argentine Peso AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, September 10th, 2026
1 Day
6.18%
1 Week
6.37%
1 Month
7.21%
Analysis last updated: Wednesday, September 9, 2026 at 08:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 1990 to Sep 4, 2026Model Insight
Estimated persistence of 1.030 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
AGARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.04 |
| αARCH | 0.1124 | 7.52*** |
| βGARCH | 0.9173 | 96.08*** |
| γleverage | -0.0064 | -0.33 |
1.030
Persistence-
Half-lifeAGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.04 |
α ARCH Response to squared shocks | 0.1124 | 7.52*** |
β GARCH Volatility persistence | 0.9173 | 96.08*** |
γ leverage Additional response to negative shocks | -0.0064 | -0.33 |
Persistence:
1.030
Half-life:
-
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